Empirical Research on ESG Factor-Optimized Asset Pricing and Multifactor Models
Factor investing in equities, studied by Zheng, Paccagnini and Potì in 2026 with a linear factor model. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Including the ESG factor not only improves the model's capacity to account for cross-sectional variation in stock returns but also helps expose notable sector-specific effects, especially in sectors where ESG issues are most relevant.”
AssetEquities
StrategyFactor investing
TechniqueLinear factor model
GeographyEuropeChina
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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